BNP Paribas VAR breaches trigger capital hike
BNP Paribas’ US unit suffered worse trading losses than expected on four days in the second quarter, forcing it to increase required market risk capital.
The peak loss was 237% larger than the bank’s value-at-risk model estimated, the second largest 193% and the third largest 142%. By incurring five so-called VAR breaches in the last year, the multiplication factor applied to one part of BNP Paribas' market risk capital requirement jumped from the default level of three to 3.4.
Barclays, Citig
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The week on Risk.net, September 8-14, 2018
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